SharpeR-NEWS

News for package 'SharpeR'

A collection of tools for analyzing significance of assets,
funds, and trading strategies, based on the Sharpe ratio and overfit
of the same. Provides density, distribution, quantile and random generation
of the Sharpe ratio distribution based on normal returns, as well
as the optimal Sharpe ratio over multiple assets. Computes confidence intervals
on the Sharpe and provides a test of equality of Sharpe ratios based on
the Delta method. The statistical foundations of the Sharpe can be found in
the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.

Steven E. Pav

SharpeR

Statistical Significance of the Sharpe Ratio

SharpeR-NEWS function

<ul>
<li>Add inference on group SNR via Bonferroni and MHT tests.</li>
<li>Add confidence intervals on achieved SNR.</li>
<li>Fix some time inference code.</li>
<li>Add dependency on <code>epsiwal</code> and <code>zoo</code> packages.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 1.4.0 (2024-12-17)

<ul>
<li>Remove tests based on upsilon distribution. Also removes dependency on sadists package.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 1.3.0 (2021-08-15)

<ul>
<li>CRAN fix for warnings about ellipsis.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 1.2.1 (2020-02-06)

<ul>
<li>move github figures to location CRAN understands</li>
<li>be smarter about S3 classes: do not redefine summary and print.</li>
<li>add bias and variance from Bao (2009).</li>
<li>support estimation of higher order moments in <code>as.sr</code>, 
and expands methods for se and confidence interval computations.</li>
<li>incorporate higher order methods into one sample sr tests.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 1.2.0 (2018-10-07)

<ul>
<li>fix sr_vcov on array input.</li>
<li>add SRIC method.</li>
<li>add SRIC to print.sropt.</li>
<li>change predint output to matrix.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 1.1.0 (2016-03-14)

<ul>
<li>sane version numbers.</li>
<li>unpaired k sample test of Sharpe.</li>
<li>rely on same for unpaired 2 sample test.</li>
<li>prediction intervals for Sharpe based on upsilon.</li>
<li>more tests.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 1.0.0 (2015-06-18)

<ul>
<li>fix inference of mark frequency from e.g. xts objects.</li>
<li>add rlambdap.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 0.1501 (2014-12-06)

<ul>
<li>fix second moment asymptotic covariance.</li>
<li>add confidence distribution functions for sr, sr.opt.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 0.1401 (2014-01-05)

<ul>
<li>inverse second moment asymptotic covariance.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 0.1310 (2013-10-30)

<ul>
<li>spanning/hedging tests.</li>
<li>sr equality test via callback variance covariance computation.</li>
<li>split vignette in two.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 0.1309 (2013-09-20)

<ul>
<li>proper d.f. in sr objects with different nan fill.</li>
<li>restore vignette.</li>
</ul>

Changes in <a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Version 0.1307 (2013-05-30)

<a href="https://cran.r-project.org/package=SharpeR">SharpeR</a> Initial Version 0.1306 (2013-05-21)

News for package 'SharpeR': — SharpeR-NEWS

<ul>
<li>Add inference on group SNR via Bonferroni and MHT tests.</li>
<li>Add confidence intervals on achieved SNR.</li>
<li>Fix some time inference code.</li>
<li>Add dependency on <code>epsiwal</code> and <code>zoo</code> packages.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 1.4.0 (2024-12-17)

<ul>
<li>Remove tests based on upsilon distribution. Also removes dependency on sadists package.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 1.3.0 (2021-08-15)

<ul>
<li>CRAN fix for warnings about ellipsis.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 1.2.1 (2020-02-06)

<ul>
<li>move github figures to location CRAN understands</li>
<li>be smarter about S3 classes: do not redefine summary and print.</li>
<li>add bias and variance from Bao (2009).</li>
<li>support estimation of higher order moments in <code>as.sr</code>, 
and expands methods for se and confidence interval computations.</li>
<li>incorporate higher order methods into one sample sr tests.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 1.2.0 (2018-10-07)

<ul>
<li>fix sr_vcov on array input.</li>
<li>add SRIC method.</li>
<li>add SRIC to print.sropt.</li>
<li>change predint output to matrix.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 1.1.0 (2016-03-14)

<ul>
<li>sane version numbers.</li>
<li>unpaired k sample test of Sharpe.</li>
<li>rely on same for unpaired 2 sample test.</li>
<li>prediction intervals for Sharpe based on upsilon.</li>
<li>more tests.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 1.0.0 (2015-06-18)

<ul>
<li>fix inference of mark frequency from e.g. xts objects.</li>
<li>add rlambdap.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 0.1501 (2014-12-06)

<ul>
<li>fix second moment asymptotic covariance.</li>
<li>add confidence distribution functions for sr, sr.opt.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 0.1401 (2014-01-05)

<ul>
<li>inverse second moment asymptotic covariance.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 0.1310 (2013-10-30)

<ul>
<li>spanning/hedging tests.</li>
<li>sr equality test via callback variance covariance computation.</li>
<li>split vignette in two.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 0.1309 (2013-09-20)

<ul>
<li>proper d.f. in sr objects with different nan fill.</li>
<li>restore vignette.</li>
</ul>

Changes in <a href='https://cran.r-project.org/package=SharpeR'>SharpeR</a> Version 0.1307 (2013-05-30)

SharpeR-NEWS: News for package 'SharpeR':

Description

Arguments

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 1.4.0 (2024-12-17)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 1.3.0 (2021-08-15)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 1.2.1 (2020-02-06)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 1.2.0 (2018-10-07)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 1.1.0 (2016-03-14)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 1.0.0 (2015-06-18)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 0.1501 (2014-12-06)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 0.1401 (2014-01-05)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 0.1310 (2013-10-30)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 0.1309 (2013-09-20)

Changes in <a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Version 0.1307 (2013-05-30)

<a href="https://cran.r-project.org/package=SharpeR"><span class="pkg">SharpeR</span></a> Initial Version 0.1306 (2013-05-21)